Ito's Integrated Formula for Strict Local Martingales

By Dilip B Madan 5, Marc Yor. 2006

53 citations recorded by the source corpus.

Subfields: Applied Mathematics, Finance

View Paper: https://www.semanticscholar.org/paper/4ed2915d38f178232c2941d8bc6750587e8c8dad

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In Applied Mathematics

1. Aleksandar Mijatovic
2. Mikhail Urusov

In Finance

1. Aleksandar Mijatovic
2. Mikhail Urusov

Citations in the corpus

• On the martingale property of certain local martingales (2009, background): “A random process that is a local martingale but does not satisfy the martingale property is known as a strict local martingale (this terminology was introduced by Elworthy, Li, and Yor [14]).”